\babel@toc {english}{}
\contentsline {chapter}{\numberline {1}Time-Series Predictability}{4}{chapter.1}
\contentsline {section}{\numberline {1.1}Concepts and models}{5}{section.1.1}
\contentsline {subsection}{\numberline {1.1.1}Market Efficiency}{5}{subsection.1.1.1}
\contentsline {subsection}{\numberline {1.1.2}Model: autocorrelation of returns}{6}{subsection.1.1.2}
\contentsline {subsubsection}{\numberline {1.1.2.1}Q-statistics}{6}{subsubsection.1.1.2.1}
\contentsline {subsubsection}{\numberline {1.1.2.2}Variance ratio}{7}{subsubsection.1.1.2.2}
\contentsline {subsubsection}{\numberline {1.1.2.3}Regression approach}{8}{subsubsection.1.1.2.3}
\contentsline {subsection}{\numberline {1.1.3}Extension: Other variance-ratio tests}{8}{subsection.1.1.3}
\contentsline {subsubsection}{\numberline {1.1.3.1}Individual VR tests}{9}{subsubsection.1.1.3.1}
\contentsline {subsubsection}{\numberline {1.1.3.2}Multiple VR tests}{9}{subsubsection.1.1.3.2}
\contentsline {subsubsection}{\numberline {1.1.3.3}Bootstrapping VR tests}{11}{subsubsection.1.1.3.3}
\contentsline {section}{\numberline {1.2}Autocorrelations in returns: empirical evidence}{12}{section.1.2}
\contentsline {subsection}{\numberline {1.2.1}Mean Riverse: Negative autocorrelations}{12}{subsection.1.2.1}
\contentsline {subsubsection}{\numberline {1.2.1.1}\citet {fama1988permanent}}{12}{subsubsection.1.2.1.1}
\contentsline {subsection}{\numberline {1.2.2}Positive autocorrelations}{14}{subsection.1.2.2}
\contentsline {subsubsection}{\numberline {1.2.2.1}\citet {lo1988stock,lo1990contrarian}}{14}{subsubsection.1.2.2.1}
\contentsline {subsubsection}{\numberline {1.2.2.2}\citet {froot1995new}}{19}{subsubsection.1.2.2.2}
\contentsline {section}{\numberline {1.3}Excess volatility puzzle}{22}{section.1.3}
\contentsline {section}{\numberline {1.4}Decomposing prices}{22}{section.1.4}
\contentsline {subsection}{\numberline {1.4.1}Campbell-Schiller decomposition}{23}{subsection.1.4.1}
\contentsline {subsection}{\numberline {1.4.2}Lettau-Ludvigson decomposition}{23}{subsection.1.4.2}
\contentsline {section}{\numberline {1.5}Prediction zoo}{23}{section.1.5}
\contentsline {section}{\numberline {1.6}Issues and extensions}{23}{section.1.6}
\contentsline {subsection}{\numberline {1.6.1}Persistency of most regressors}{23}{subsection.1.6.1}
\contentsline {subsection}{\numberline {1.6.2}Aggregate predictors without ex-ante choice}{23}{subsection.1.6.2}
\contentsline {subsection}{\numberline {1.6.3}Instability in the prediction relation}{23}{subsection.1.6.3}
\contentsline {subsection}{\numberline {1.6.4}Measurement}{23}{subsection.1.6.4}
\contentsline {chapter}{\numberline {2}Cross-Section Predictability}{24}{chapter.2}
\contentsline {section}{\numberline {2.1}Section 1}{24}{section.2.1}
\contentsline {chapter}{\numberline {3}GMM and Cross-section test}{25}{chapter.3}
\contentsline {section}{\numberline {3.1}Section 1}{25}{section.3.1}
\contentsline {chapter}{\numberline {4}Advances in cross-section asset pricing}{26}{chapter.4}
\contentsline {section}{\numberline {4.1}Section 1}{26}{section.4.1}
\contentsline {chapter}{\numberline {5}Consumption-based asset pricing}{27}{chapter.5}
\contentsline {section}{\numberline {5.1}Section 1}{27}{section.5.1}
\contentsline {chapter}{\numberline {6}Term structure of returns}{28}{chapter.6}
\contentsline {section}{\numberline {6.1}Section 1}{28}{section.6.1}
\contentsline {chapter}{\numberline {7}Learning}{29}{chapter.7}
\contentsline {section}{\numberline {7.1}Section 1}{29}{section.7.1}
\contentsline {chapter}{\numberline {8}Currencies: time-series and cross-section}{30}{chapter.8}
\contentsline {section}{\numberline {8.1}Section 1}{30}{section.8.1}
\contentsline {chapter}{\numberline {9}Intermediary-based asset pricing}{31}{chapter.9}
\contentsline {section}{\numberline {9.1}Section 1}{31}{section.9.1}
\contentsline {chapter}{\numberline {10}finance and big data}{32}{chapter.10}
\contentsline {section}{\numberline {10.1}Section 1}{32}{section.10.1}
\contentsline {chapter}{Bibliography}{33}{section.10.1}
